Author

Name:
José Carlos Dias
e-mail:
jose.carlos.dias@iscte.pt
URL:
http://indeg.iscte.pt/?pt=Docentes&op=SITE_OP_FORM&id=402
FCT research center:
Unidade de Investigação em Desenvolvimento Empresarial - UNIDE (2015)
REBIDES institution:
ISCTE - Instituto Universitário de Lisboa (2015)
Articles 10:

Valuing American-Style Options under the CEV Model: An Integral Representation Based Method
Aricson Cruz, José Carlos Dias
Review Of Derivatives Research, vol. 23, 2020, p. 63-83.

Pricing Double Barrier Options on Homogeneous Diffusions: A Neumann Series of Bessel Functions Representation
Igor V. Kravchenko, Vladislav V. Kravchenko, Sergii M. Torba, José Carlos Dias
International Journal Of Theoretical And Applied Finance, vol. 22, 2019, p. 1-24.

The Binomial CEV Model and the Greeks
Aricson Cruz, José Carlos Dias
Journal of Futures Markets, vol. 37, 2017, p. 90-104.

In-Out Parity Relations for American-Style Barrier Options
João Pedro Ruas, João Pedro Vidal Nunes, José Carlos Dias
Journal Of Derivatives, vol. 23, 2016, p. 20-32.

Pricing and Static Hedging of American-Style Knock-In Options on Defaultable Stocks
João Pedro Vidal Nunes, João Pedro Ruas, José Carlos Dias
Journal of Banking and Finance, vol. 58, 2015, p. 343-360.

Pricing and Static Hedging of European-Style Double Barrier Options under the Jump to Default Extended CEV Model
José Carlos Dias, João Pedro Vidal Nunes, João Pedro Ruas
Quantitative Finance, vol. 15, 2015, p. 1995-2010.

On the Computation of Option Prices and Greeks under the CEV Model
José Carlos Dias, Manuela Larguinho, Carlos A. Braumann
Quantitative Finance, vol. 13, 2013, p. 907-917.

Pricing and Static Hedging of American-Style Options under the Jump to Default Extended CEV Model
João Pedro Vidal Nunes, José Carlos Dias, João Pedro Ruas
Journal of Banking and Finance, vol. 37, 2013, p. 4059-4072.

Pricing Real Options under the Constant Elasticity of Variance Diffusion
José Carlos Dias, João Pedro Vidal Nunes
Journal of Futures Markets, vol. 31, 2011, p. 230-250.

Durable vs. Disposable Equipment Choice under Interest Rate Uncertainty
José Carlos Dias, Mark B. Shackleton
European Journal Of Finance, vol. 15, 2009, p. 157-167.

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